The demo on the site is actually the old 1.3 version. The interfaces are mostly the same, with one big exception. All script-wide functionality has been moved to the admin.cgi script. List specific administration is done in the subscriber.cgi script.

So, if you want to add a new list, you have to go to the admin.cgi script.

I was able to create a list. The password has been set to "test" for now... you should change it. Or, better yet, create another new list from the admin.cgi script so that the directory is something that actually makes more sense than "my_list" given your list.

The key here is that the password to login there can be different than you use to login to any individual list. That admin script just gives you power over the entire script and all of the lists it manages.